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splm: Spatial Panel Data Models in R

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  • Giovanni Millo
  • Gianfranco Piras

Abstract

splm is an R package for the estimation and testing of various spatial panel data specifications. We consider the implementation of both maximum likelihood and generalized moments estimators in the context of fixed as well as random effects spatial panel data models. This paper is a general description of splm and all functionalities are illustrated using a well-known example taken from Munnell (1990) with productivity data on 48 US states observed over 17 years. We perform comparisons with other available software; and, when this is not possible, Monte Carlo results support our original implementation.

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Article provided by American Statistical Association in its journal Journal of Statistical Software.

Volume (Year): 47 ()
Issue (Month): i01 ()
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Handle: RePEc:jss:jstsof:47:i01

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  1. David M. Drukker & Hua Peng & Ingmar Prucha & Rafal Raciborski, 2011. "SPPACK: Stata module for cross-section spatial-autoregressive models," Statistical Software Components S457245, Boston College Department of Economics, revised 08 Nov 2012.
  2. Lee, Lung-fei & Yu, Jihai, 2010. "A Spatial Dynamic Panel Data Model With Both Time And Individual Fixed Effects," Econometric Theory, Cambridge University Press, vol. 26(02), pages 564-597, April.
  3. Yves Croissant & Giovanni Millo, . "Panel Data Econometrics in R: The plm Package," Journal of Statistical Software, American Statistical Association, vol. 27(i02).
  4. Badi H. Baltagi & Peter Egger & Michael Pfaffermayr, 2012. "A Generalized Spatial Panel Data Model with Random Effects," CESifo Working Paper Series 3930, CESifo Group Munich.
  5. M. Hashem Pesaran & Elisa Tosetti, 2011. "Large panels with common factors and spatial correlation," Post-Print hal-00796743, HAL.
  6. Yu, Jihai & Lee, Lung-fei, 2010. "Estimation Of Unit Root Spatial Dynamic Panel Data Models," Econometric Theory, Cambridge University Press, vol. 26(05), pages 1332-1362, October.
  7. Kapoor, Mudit & Kelejian, Harry H. & Prucha, Ingmar R., 2007. "Panel data models with spatially correlated error components," Journal of Econometrics, Elsevier, vol. 140(1), pages 97-130, September.
  8. Debarsy, Nicolas & Ertur, Cem, 2010. "Testing for spatial autocorrelation in a fixed effects panel data model," Regional Science and Urban Economics, Elsevier, vol. 40(6), pages 453-470, November.
  9. Jan Mutl & Michael Pfaffermayr, 2011. "The Hausman test in a Cliff and Ord panel model," Econometrics Journal, Royal Economic Society, vol. 14(1), pages 48-76, February.
  10. Badi H. Baltagi & Peter Egger & Michael Pfaffermayr, 2005. "Estimating Models of Complex FDI: Are There Third-Country Effects?," Center for Policy Research Working Papers 73, Center for Policy Research, Maxwell School, Syracuse University.
  11. Baltagi, Badi H. & Song, Seuck Heun & Koh, Won, 2003. "Testing panel data regression models with spatial error correlation," Journal of Econometrics, Elsevier, vol. 117(1), pages 123-150, November.
  12. Gianfranco Piras, . "sphet: Spatial Models with Heteroskedastic Innovations in R," Journal of Statistical Software, American Statistical Association, vol. 35(i01).
  13. Yu, Jihai & de Jong, Robert & Lee, Lung-fei, 2008. "Quasi-maximum likelihood estimators for spatial dynamic panel data with fixed effects when both n and T are large," Journal of Econometrics, Elsevier, vol. 146(1), pages 118-134, September.
  14. David M. Drukker & Hua Peng & Ingmar Prucha & Rafal Raciborski, 2013. "Creating and managing spatial-weighting matrices with the spmat command," Stata Journal, StataCorp LP, vol. 13(2), pages 242-286, June.
  15. Baltagi, Badi H., 1981. "Simultaneous equations with error components," Journal of Econometrics, Elsevier, vol. 17(2), pages 189-200, November.
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Cited by:
  1. Alan Fernihough & Kevin Hjorstshøj O’Rourke, 2014. "Coal and the European Industrial Revolution," Oxford University Economic and Social History Series _124, Economics Group, Nuffield College, University of Oxford.
  2. Alexandre Xavier Ywata De Carvalho & Guilherme Mendes Resende & Patrícia Alessandra Morita Sakowski, 2014. "Evaluating Multiple Spatial Dimensionsof Economic Growth In Brazil Using Spatial Panel Data Models, 1970-2000," Anais do XL Encontro Nacional de Economia [Proceedings of the 40th Brazilian Economics Meeting] 179, ANPEC - Associação Nacional dos Centros de Pósgraduação em Economia [Brazilian Association of Graduate Programs in Economics].
  3. Gianfranco Piras, 2013. "Impact Estimates for Static Spatial Panel Data Models in R," Working Papers 201305, Regional Research Institute, West Virginia University.
  4. Álvarez, Inmaculada & Barbero, Javier & Zofío, José Luis, 2013. "A Panel Data Toolbox for MATLAB," Working Papers in Economic Theory 2013/05, Universidad Autónoma de Madrid (Spain), Department of Economic Analysis (Economic Theory and Economic History).
  5. Millo, Giovanni, 2014. "Maximum likelihood estimation of spatially and serially correlated panels with random effects," Computational Statistics & Data Analysis, Elsevier, vol. 71(C), pages 914-933.
  6. Badi H. Baltagi & Yin-Fang Yen, 2014. "Hospital Treatment Rates and Spillover Effects: Does Ownership Matter?," CESifo Working Paper Series 4664, CESifo Group Munich.
  7. Heumesser, Christine & Morawetz, Ulrich B., 2012. "Analyzing The Effect Of Agri-Environment Measures On Nitrate Concentration In Groundwater For Austria," 52nd Annual Conference, Stuttgart, Germany, September 26-28, 2012 133044, German Association of Agricultural Economists (GEWISOLA).
  8. Roger Bivand & Gianfranco Piras, 2013. "Comparing Implementations of Estimation Methods for Spatial Econometrics," Working Papers 201301, Regional Research Institute, West Virginia University.

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